If you do anything, which affects in any way your Halo account save files, for example playing on another console, playing through play anywhere feature on PC or edit your decks on halwaypoint.com, Halo Wars 2 will sync the Cloud game files with your local files…
If you start the game and press the “start” button, you log on to your account / profile in Halo Wars 2 and the sync process is starting. DONT PRESS “A” TOO SOON!
This is a common mistake I have done myself too! You see the pop-up and want to skip it, but often it happens that you also skip then the sync process! Just wait a bit, a little bit longer just to make sure that the game has checked cloud & local game files.
Since I do that I had no progress lost issues. I hope it helps!